JPM Options History — June 2010 In June 2010, JPM traded between $36.61 and $39.55. ATM implied volatility averaged 39.0%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 2.1% (HV 20d: 41.1%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.88.
Notable Days 2010-06-09 : Highest Volume — 179,301 contracts2010-06-29 : Largest IV spike — 22.1% change2010-06-07 : Highest IV Rank — 57.0%2010-06-07 : Largest Expected Move — 13.4%Monthly Statistics Metric Avg Min Max Open Close Price $38.20 $36.61 $39.55 $38.54 $36.61 Max Pain $38.45 $38.00 $41.00 $41.00 $38.00 ATM IV 39.0% 33.6% 46.0% 42.7% 42.0% Expected Move 11.3% 9.6% 13.4% 12.2% 12.1% HV 20d 41.1% 35.7% 45.4% 42.3% 36.3% HV 60d 35.0% 32.0% 37.6% 32.0% 37.5% IV Rank 41.7% 29.8% 57.0% 49.7% 48.3% IV Percentile 66.1% 38.9% 86.1% 78.2% 82.5% Term Structure -0.7% -3.2% 2.0% 0.4% -1.1% VWIV 39.8% 34.2% 45.7% 44.5% 41.9% Skew 25d 9.0% 6.6% 12.7% 11.8% 7.8% Skew 10d 18.6% 13.5% 26.7% 26.4% 15.1% Call IV 25d 35.6% 30.2% 41.9% 39.0% 39.4% Put IV 25d 44.6% 37.8% 54.1% 50.8% 47.3% Bid-Ask Spread % 3.14 2.36 4.19 2.95 2.76 Gamma HHI 0.08 0.06 0.09 0.06 0.08 Net GEX -6.6M -26.8M 14.5M -1.9M -7.2M Net DEX 709.2M 37.2M 1.30B 722.5M 733.2M Net VEX -14.3M -15.9M -13.5M -15.6M -13.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.22 1.72 1.06 0.78 Total Volume 106,565.636 56,464 179,301 106,852 56,464 Total OI 2,624,116.636 2,017,215 3,042,992 2,764,079 2,206,099
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2010-06-01 $38.54 $41.00 42.7% 12.2% 42.3% 49.7% 44.5% 11.8% 0.4% -1.9M 722.5M -15.6M 1.06 2.95 N/A N/A 51,858 54,994 1,533,331 1,230,748 2010-06-02 $39.55 $41.00 35.3% 10.1% 43.1% 33.7% 37.4% 7.3% 1.9% 7.8M 401.5M -15.9M 0.77 2.74 N/A N/A 41,336 31,903 1,550,786 1,251,623 2010-06-03 $39.10 $41.00 36.7% 10.5% 43.1% 36.7% 36.6% 7.6% 2.0% -53.9K 597.5M -15.5M 0.72 2.89 N/A N/A 39,565 28,451 1,546,383 1,248,548 2010-06-04 $37.62 $39.00 42.0% 12.6% 42.3% 48.2% 43.0% 12.7% -2.3% -15.8M 1.02B -14.7M 0.71 3.19 N/A N/A 48,246 34,077 1,545,310 1,245,987 2010-06-07 $36.72 $38.00 46.0% 13.4% 42.9% 57.0% 45.7% 12.2% -3.2% -24.2M 1.30B -13.7M 1.04 3.34 N/A N/A 45,644 47,372 1,558,613 1,246,390 2010-06-08 $37.78 $38.00 40.7% 12.3% 42.9% 45.3% 45.1% 11.3% -1.3% -18.3M 1.02B -14.3M 1.40 3.07 N/A N/A 67,367 94,138 1,568,626 1,250,061 2010-06-09 $37.12 $38.00 44.2% 13.3% 43.1% 53.1% 42.0% 11.6% -2.3% -24.5M 1.20B -14.1M 0.22 3.36 N/A N/A 146,968 32,333 1,584,549 1,283,900 2010-06-10 $38.29 $38.00 40.5% 11.6% 44.9% 45.0% 41.4% 10.1% -0.4% -9.5M 833.0M -14.9M 0.74 3.02 N/A N/A 90,204 67,089 1,645,206 1,295,482 2010-06-11 $38.09 $38.00 39.8% 11.4% 44.5% 43.4% 43.2% 9.5% 0.1% -13.6M 940.2M -14.6M 1.72 3.02 N/A N/A 32,923 56,510 1,659,424 1,324,693 2010-06-14 $37.33 $38.00 43.4% 12.4% 44.3% 51.3% 45.3% 9.4% -2.6% -26.8M 1.23B -13.9M 1.09 3.21 N/A N/A 61,026 66,554 1,670,784 1,329,896 2010-06-15 $38.25 $38.00 38.7% 11.1% 45.4% 41.1% 38.4% 8.3% -0.8% -18.3M 956.9M -14.1M 0.80 3.85 N/A N/A 49,215 39,230 1,684,520 1,342,808 2010-06-16 $38.52 $38.00 36.1% 10.3% 45.0% 35.3% 36.9% 7.8% -0.2% -10.8M 834.6M -13.9M 0.66 3.31 N/A N/A 44,242 29,262 1,682,082 1,344,262 2010-06-17 $38.44 $38.00 36.4% 10.4% 44.8% 36.1% 35.8% 6.6% 0.1% -12.2M 922.2M -13.7M 0.72 4.19 N/A N/A 54,909 39,585 1,684,221 1,342,203 2010-06-18 $39.18 $38.00 33.6% 9.6% 42.9% 29.8% 34.2% 7.5% 0.6% 1.6M 573.8M -13.9M 0.85 3.62 N/A N/A 74,741 63,465 1,690,996 1,351,996 2010-06-21 $38.87 $38.00 35.0% 10.0% 37.7% 33.1% 35.8% 8.7% -0.9% 4.9M 263.7M -13.7M 0.83 3.33 N/A N/A 51,152 42,679 1,048,767 968,448 2010-06-22 $38.33 $38.00 37.4% 10.7% 35.7% 38.3% 36.4% 8.2% -1.2% 695.0K 400.9M -13.5M 0.67 3.24 N/A N/A 52,060 34,846 1,062,684 984,185 2010-06-23 $38.89 $38.00 35.5% 10.2% 36.0% 34.1% 36.9% 7.9% -0.6% 5.8M 242.5M -14.0M 1.23 3.33 N/A N/A 33,001 40,682 1,084,319 1,000,086 2010-06-24 $38.03 $38.00 39.1% 11.2% 36.8% 41.9% 39.0% 7.8% -0.9% 605.9K 426.9M -13.8M 0.83 2.45 N/A N/A 97,663 80,785 1,092,676 1,017,429 2010-06-25 $39.44 $38.00 35.0% 10.0% 36.1% 33.0% 35.7% 7.8% 0.6% 14.5M 37.2M -15.0M 0.61 2.88 N/A N/A 82,532 50,247 1,129,237 1,053,167 2010-06-28 $38.54 $38.00 35.2% 10.1% 36.2% 33.5% 36.2% 7.2% -0.5% 7.5M 294.6M -14.3M 0.80 2.99 N/A N/A 38,032 30,304 1,143,699 1,052,590 2010-06-29 $37.06 $38.00 43.0% 12.3% 37.6% 50.4% 43.5% 8.6% -2.1% -5.5M 656.1M -13.8M 1.19 2.36 N/A N/A 55,103 65,687 1,132,623 1,061,129 2010-06-30 $36.61 $38.00 42.0% 12.1% 36.3% 48.3% 41.9% 7.8% -1.1% -7.2M 733.2M -13.7M 0.78 2.76 N/A N/A 31,673 24,791 1,142,249 1,063,850
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